FINAL REPORT OF PROJECT WORK-II
Title of the Project: Calculating RAROC for Corporate Accounts in Bank of Baroda
By Jagjeet kumar Guide Mr.Alok BANERJEE (Chief Manager)
Project Work Undertaken at: Bank Of Baroda Report submitted in partial fulfillment of the requirements for the award of Post-Graduate Diploma in Banking and Finance By National Institute of Bank Management, Pune, 2007-08
CONTENTS
Acknowledgement: Objective Chapter-I…………………………Introduction Chapter-II………………………..Review of literature Chapter-III………………………Data & Methodology Chapter-IV………………………Results, Analysis & Interpretations Chapter-V………………………..Conclusions & Recommendations Chapter-VI………………………Executive Summary Chapter-
ACKNOWLEDGEMENT
I sinc sincer erel ely y ac ackn know owle ledg dge e my inde indebt bt ness ness to Mr.Asi Mr.Asitt Pal (General Manager, Risk Management Department, Bank of Baroda) for giving me opportunity to conduct my project on calculating the RAROC (Risk Adjusted Return on Capital) for the Corporate accounts. He has been constant source of inspiration and guide throughout the project. I am also deeply thankful to Mr. A D M Chawli (Deputy General Manager, Risk Management Department) for giving me necessary guidance and access to resources to conduct my project. I would also thank my guide and mentor Mr. Alok Banerjee for constant constant guidance. guidance. I am also especially thankful to Dr.A Dr .Ash shis ish h Saha Saha(Director,NIBM) ,Prof.Kalyan Swaroop(Dean NIBM) and Mr Arindam Bandhopadhaya (NIBM Faculty ) and other faculties of the institute for constant guidance and teaching us the subject so that I could do this Project. I am also grateful to Mr. R.K.Rana (AGM) Mr. H S Patil, Mr. D Mahabal and Mr. Ratnesh Mishra from the Risk Management dept for their continued support. For collection of the data I have to approach different departments. So I also thank Mr. Awasthi (DGM recovery) Mr. Upreti, Mr. Upadhe, Mr. Man Mohan Jha from the ASCROM cell and Mr. Batra, Mr. Bhatia, Mr Prasant and Mr. Rajesh from from wholes wholesale ale bankin banking g depart departmen mentt MR Govi Govill from from the the planning dept. Last but not the least I am thankful to all my fellow colleagues and friends for giving me friendly environment and support. In this final round I also thank my family who took a lot of pain and perseverance so that I can do this Project and complete the course.
Objective The The main main obje object ctiv ive e of the the proj projec ectt is to ca calc lcul ulat ate e RARO RAROC C for for the the corp co rpor orat ate e ac acco coun unts ts base based d on the the data data prov provid ided ed by the the Ba Bank nk.. The The RAROC has emerged as the powerful tool to measure profitability of the Bank. It incorporates the cardinal principle of finance i.e. Risk and Return and combines them the Economical Capital requirement of the Bank based upon the quantum quantum of risk taken in the business. business. This kind of the the stud study y has has beco become me impo imporrtant tant as tradit aditio iona nall meth metho ods of profitability measure like ROA, ROC, etc don’t take into account the quantum of risk undertaken by the Bank in its day-to-day business. After After BAS BASEL EL-II -II impleme implementa ntatio tion n the requir requireme ement nt of Capita Capitall is linked linked with the Risk undertaken. So we may say that RAROC is basically BASE BA SEL L-II -II co comp mpli lian antt perf perfor orma manc nce e meas measur ure e for for the the Ba Bank nks. s. This This integ integra rati tion on of Capi Capita tall alon along g with with the the busin busines ess s expa expans nsio ion n and and risk risk undertaken becomes more relevant for Banks as they are not going to Capital market so frequently particularly for PSBs where any further Capital infusion requires Govt's commitment also. Though RAROC concept is generally applied at firm level and it incorporates all kinds of the Risks, i.e. Credit, Market and Operational risks and Banks economic capital based on the Credit, Market and Op Var. But my study is limited in scope to calculating calculating RAROC for the selected selected corporate corporate accounts. accounts. This limitation is obvious due to the fact there is constraint of resources like data, time and manpower and software. One of the aims of the project is to compare RARO RAROC C with with that that of co cost st of ca capi pita tall dete determ rmin inin ing g perf perfor orma manc nce e of Corp Corpor orat ate e ac acco coun unts ts at both both bank bank leve levell & busi busine ness ss unit unit leve levels ls.. In decision making RAROC may be applied as a thumb rule as •If RAROC > Cost of capital, there is a value addition •If RAROC < Cost of capital, value is destroyed •If RAROC = Cost of capital, value is maintained
INTRODUCTION Risk adjusted return on capital (RAROC) is a risk based profitability meas measur urem emen entt fram framew ewor ork k for for anal analyz yzin ing g risk risk-a -adj djus uste ted d fina financ ncia iall perfor performan mance ce and provid providing ing a consis consisten tentt view view of profitability across businesses. businesses. However, more and more (RAROC) is used as a measure, wher whereb eby y the the risk risk adju adjust stme ment nt of Capi Capita tall is base based d on the the capital adequacy adequacy guidelines guidelines as outlined by the Basel Committee Committee (currently Basel II). II). Broadly speaking, in business enterprises, risk is traded off against bene benefi fit. t. RAROC RAROC is defin defined ed as the the ratio of risk risk adju adjust sted ed retu return rn to economic capital. capital. Economic capital is a function of market risk, risk, credit risk, risk, and operational risk. risk. This use of capital based on risk improves the the ca capi pita tall allo alloca cati tion on ac acro ross ss diffe differe rent nt func functi tion onal al area areas s of banks, banks, insurance companies, or any business in which capital is placed at risk for an expected return above risk-free. RAROC system allocates capital for 2 basic reasons 1. Risk Risk man manag agem emen entt 2. Pe Perfo rforma rmance nce evalua evaluatio tion n For risk management purposes, the main goal of allocating capital to individ individual ual busine business ss units units is to determ determine ine the bank's bank's optima optimall capita capitall structure structure (i.e., economic capital allocation is closely closely correlated correlated with individual business risk). As a performance evaluation tool, it allows banks to assign capital to business units based on the economic value added of each unit. Some of the benefits are listed below Segment wise Risk profile generation: Incentives based on RAROC RAROC based planning Pricing strategy of the loans It will show how much risk adjusted return different segments of the business are giving when we compare them with Economic capital based hurdle rate (RAROC). It will will prov provid ide e whic which h se segm gmen entt is crea creati ting ng the the shar shareh ehol olde der’ r’s s wealth and which segments are destroying them. The Economic Capital is also expected to be less when we take the diversification benefit than the for the standalone case. Business decision making Restructuring & Revamping. • • • •
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Product performance appraisal
Overview of Typical RAROC Model
Portfolio Capital Model Obligor Risk Rating Process Structure Asset Quality
Structure Term Loan Type
PD & PD Migration LGD [Loss Given Default]
Diversification Corporate Policy
EA D [Expos Given Default]
Loan Amount
EC (Economic Capital) Target Debt Rating [for Portfolio]
UL [Unexpected Loss]
RAROC
Term Total Revenues
Typical RAROC Schematic
NIX (Non-Interest Expense) LGD Amount PD
- Overhead - Expected Loss - Income Tax & Capital Tax
Net Income
REVIEW OF LITERATURE Comm Commer erci cial al Ba Bank nks s are are typi typica call finan financia ciall inter interme medi diar ary y who who ac acce cept pts s deposits from the Public and invest in form of the loans, investments in bonds or equities, etc. For mobilization of the deposit they pay interest to the depositors and also they th ey have operation cost associated with the operation. The investments and the loans granted by the Banks yield interest which typically covers the cost of fund and operations cost besides yielding sufficient margin to the shareholders of the Bank. But all things do not go as planned. It has been observed that the Banks are typically exposed to risks emanating from the Market variables like inter interes estt rate rate move moveme ment nt,, equit equity y pric price e vo vola lati tilit lity y, vo vola lati tilit lity y in fore forex x markets, derivative spread and losses etc giving rise to Market risk. On loan front the Banks are basically exposed to the default or no payment of the interest as well as principle of the loans. This is called Credit risk. Besides these two types of the primary risk another type of risk which has become prominent now a day is Operational Risk. This risk is due more to control and checks system failure i.e. poor Management. Formally we may define these risk categories as follows:
Credit Risk: Credit Risk arises from default when an individual, compan comp any y, or gove govern rnme ment nt fail fails s to ho hono norr a prom promis ise e to make make a payment. Ex-Counterparty credit risk, Loan credit risk, Issuer Credit Risk, Settlement credit risk, etc.
Market Market Risk Risk: Ma Mark rket et Risk Risk aris arises es from from the the possi possibi bilit lity y of loss losses es resu result lting ing from from unfa unfavo vora rabl ble e mark market et move moveme ment nts. s. So it is Risk Risk to losses due to changes in the perceived value of an asset, without any contractual failures. Ex- losses in equity market, forex market, bond market, etc.
Operational Risk: The most general definition of operational risk is that it is the risk of losses due to factors other than market risk and cred credit it risk risk.. Ba Base sell co comm mmit itte tee e defi define nes s it as “The “The risk risk of dire direct ct or indi indirrec ectt loss losses es resu result ltin ing g fro from inad inade equat quate e or fail faile ed inte interrnal nal processes, people and systems or from external events” The typical loss reward distribution of these three types of risks are shown in following page
BASEL Commit BASEL Committee tee has in recent recent recomm recommend endati ations ons (BASEL (BASEL-II -II)) has emphasized over the management of these risk Banks face. For the measur measureme ement nt and manage managemen mentt of the differe different nt risks risks BAS BASEL EL-II -II has advised the following approach o
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Credit Risk
Standardized Approach
Internal Rating Based Approach (IRB-Foundation)
Internal Rating Based Approach (IRB-Advanced)
Market Risk
Standardized Approached (Maturity)
Standardized Approach (Duration),
Internal Risk Based Approach (VaR)
Operational Risk
Basic Indicator Approach
Standardized Approach
Advanced Measurement Approach
RBI has also applied the recommendations of the BASEL-II in phased manner. So from 31.03.2008 our Bank has to comply with BASEL-II recommendations as prescribed by RBI. So Banks are required to have Capital for each of these risk class. This requirement of Capital has necessitate necessitated d the performance performance measure measure which gives the Shareholder Shareholder the commensurate return vis. a vis. risk taken by the Bank. RAROC is such measure which measures the risk return reward and compares it with the cost of capital of the Bank. But befo But before re goin going g on lets lets defi define ne few few term terms s whic which h will will be usef useful ul in understanding RAROC concept.
Credit Risk: It is defined as the non fulfillment of the contractual obligation by the counterparty/obligor. This non-fulfillment may be due to oblig obligor or inab inabili ility ty or unwi unwilli lling ngne ness ss and and may may be also also clas classi sifi fied ed as exogenous or endogenous factors related to the borrower (systematic or unsystematic). The credit risk also arises due to concentration of exposure in certain sector of the economy ( CONCENTRATION RISK). Concentration risk is mitigated through the exposure norms related to indi indivi vidu dual al and and grou group p co comp mpan anie ies s and and indu indust stry ry /sec /secto torr expo exposu sure re limit.The credit risk is also dependent on the economic cycle and world over it is observed that the Defaults increases as the economy slows down.
Probability of Default (PD):- It is defined as the probability of non – payment of the loan as well as interest by the counterparty/obligor fully or partially. The PD is calculated with the help of credit rating migration matrix. It is usually measured for next 1-year rating process is done usually once in a year. The factors affecting the PD are internal to the obligor as well as external. Credit Rating is important tool to measure the PD.
Loss Given Default (LGD): It is the fraction of the EAD that will not be recovered if default occurs and is calculated as a percentage of the exposure at the date of default. LGD is facility specific and depends upon the collateral quality, seniority, legal framework, economic cycle etc.
LGD = 1 – Recovery Rate/EAD When we discount the recovery to the date of default then it is called the economic LGD.
Exposu Exposure re at Defaul Defaultt (EAD (EAD): It repr repres esen ents ts the the expe expect cted ed leve levell of usage usage of the facility facility when when defaul defaultt occ occurs urs.. This This factor factor also depend depends s upon the type of facility, facility, borrower’s history and his liquidity conditions.
EAD = Outstanding + (CCF Free Limit)
Outstandingd – Outstandingd–1 CCF = —————————————— Limitd–1 – Outstandingd–1
Expected Loss (EL ): It is the anticipated average loss over a defined period of time. It is akin to cost of doing business and has to be recovered from the borrowers as risk premium. The expected loss is taken as the mean of credit loss distribution. d istribution. This is calculated as
EL=EAD*PD*LGD
Unexpected Loss (UL): Unexpected loss is potential to exceed the expected loss and is a measure of the uncertainty in the loss estimate. It is measured as follows
UL=EAD*√(PD*σLGD² +LGD² *σPD²) Where σLGD² is Variance of LGD and σPD² is variance of PD Also σPD² =PD*(1-PD) due to binomial distribution of PD
Economic Capital (EC): Economic Capital is the measure of risk and is based on a probabilistic assessment of potential future losses at a selected confidence level. So EC =m x Capital required to cover worst-case loss (Minus expected loss) due to credit risks. m is often a multiplier determined by the bank based on its desired credit rating, its required confidence threshold (say at 99% or 99.97 %) and the actual observed distribution of losses.
EC=N‾1(99.97%)*ULP –ELP (For AA rated banks) banks)
Cost of Capital (COC): Cost of Capital also known as Hurdle rate is the the amou amount nt of retu return rn shar shareh ehol olde derr dema demand nd for for taki taking ng risk risk.. It ca can n measured based on the CAPM model Hurdle Rate, R=Rf+β(Rm-Rf) Where β is the slope of regression line running between market return and and stoc stocks ks retu return rn.. Thes These e retu return rns s ca can n be es esti timat mated ed base based d on the the Market index and share price closing value. Mathematically the RAROC is defined as below
Risk-Adjusted Income RAROC = Economic Capital at Risk These terms may be further explained as below-
Risk Adjusted Income= + Financial income (Interest revenue + Fees) - Cost of Funds (FTP costs) -Non-interest Operating Expenses - Expected Credit losses
DATA & METHODOLGY DATA COLLECTION: The data for RAROC Calculation required was mainly obtained from the ASCROM system of the Bank. The ASCROM system gives details like Branch, Borrower name, Limit Sanctioned, Outstanding Balance, Asset Classification, Credit Rating, etc.The other source sources s of data data were were col collec lected ted from from the recove recovery ry dept dept ,whole ,wholesal sale e Banking dept, NSE website, etc. For calculation of PD base year 2000 was taken and all funded facilities above above Rs 20 Cror Crores es ac acco coun unts ts were were list listed ed.. Ideall Ideally y this this cut cut off off limi limitt should have been say Rs 50 Crores or Rs100 Crores but due to the fact that that numb number er of such such ac acou ount nts s was was smal smalll so for for bett better er stat statis isti tica call accuracy I have stick to Rs 20 crores as funded exposure at the end of March from year 2002-2007. The variables like asset class, name of the account, credit rating, Branch, Zone, etc was noted in EXCEL sheet (Annexture1).
For calculation of LGD 103 accounts the reference cut off was Rs 1 Crore for all recovered/set recovered/settled tled accounts during the period period 2005, 2006 and 2007(Annexture2). For EAD calculation the outstanding outstanding balance above Rs 20 crores as on 31.03.2007 was taken. Since the RAROC was calculated at outstanding as on 31.03.2007 it does make sense. However, it is advisable to collect more comprehensive data for EAD calculation along with CCF and unutilized commitments. For calculation of Yield data was collected from the sanctioned files of the Corporate Loan over the period from 2002-2007.Altogather 117 cases were studied and noted down (Annexture3). For the Cost of Capital calculation the closing share price of the BOB on NSE was collected for the period from 01.04.2006 to 31.0 31.03. 3.20 2008 08.F .For or beta beta ca calc lcul ulat atio ion n the the S& S&P5 P500 00 Inde Index x clos closin ing g was was selected for the same period ( Annexture4). For Cost of fund and Operating expenses Banks Audited BS of 2007 was taken as reference source and cost was determined based on the published data. The primary assumption behind the sanction of the loans is that funds are profitably deployed and these loans yield enough return not only to satisf satisfy y the the depo deposi sito tors rs and and meet meet the the Oper Operat atin ing g expe expens nses es but but also also generate enough income for the shareholder. Many a times the big corp co rpor orat ates es get get the the SubSub-BP BPLR LR loan loans s and and in abse absenc nce e of prop proper er risk risk reward mechanism it becomes difficult to determine the profitability of decision taken, though our gut feeling says that the sanction process is profitable. RAROC helps in concretizing this gut feeling. Tools adopted in this study are simple EXCEL based technique which can be comprehende comprehended d easily and also there are no advanced advanced software to do such study at present.
Analysis, Results, & Interpretations Interpretations calc lcul ulat atio ion n the the no of ac acco coun unts ts at the the PD Calcula Calculatio tion n: For PD ca beginning was segregated among the different rating categories and it was determined how many got slipped into default categories (Default cate ca tego gory ry is as NPA NPA as per per regu regula lato tory ry defi defini niti tion on). ). This This data data was was collected for the years 2003,2004,2005,2006 and 2007( Annexture-5). As can be seen from the sheet the no of accounts defaulting is highest in year 2004. In total there were 6 defaults over the period and out of these 4 were in B and C categories. This result is in conformity with our assumption that the good rated accounts have less PD. The PDs for the relev levant years are 0, 2.78 .78%, 0.88%, 8%, 0.65 .65% and 0.44% respectively. One interpretation of reduction in PD in later 3 years is that Economy has been very buoyant after 2004 and it also reinforces our hypothesis that in expansion phase the no of defaults are less. The yearly PD is then multiplied with the weights of the No of accounts in the pool (709) and then the mean weighted PD is arrived at. In our study this comes to 0.85%.The variance of PD comes to 0.84%
The Rating Migration was also studied on 102 corporate accounts as on 31.03.2002 as base and their behavior during the next five years i.e. upto 2007.These accounts were classified as per rating categories and year year to year year ratin ating g migr migrat atio ion n juxt juxtap apos osed ed((Annexture-6). This methodology is commonly followed for the study of the bonds default char charac acte teri rist stic ics. s. So the the ac acco coun unts ts were were so sort rted ed as per per the the ratin ating g categ categor orie ies s of the the firs firstt year year and and the the subs subseq eque uent nt ratin ratings gs were were also also note no ted. d. So the the ac acco coun unts ts rema remain ined ed in the the sa same me rati rating ng ca cate tego gory ry or upgraded, downgraded or even defaulted. In few cases the accounts were withdrawn without default. For such Rating withdrawal the study has has co cons nsid ider ered ed them them as rati rating ng reta retain ined ed in thei theirr origi origina nall grad grade e as sugg sugges este ted d by the the Edwar dward d Altm Altman an in his his book book Ma Mana nagi ging ng Cred Credit it Risk(page218-220). The yearly PD has been calculated as shown in Transi ansiti tion on Ma Matr trix ix for for diff differ eren entt year years s (Annexture-7). Here the methodology used is similar to calculation of pooled PD. As can be seen the retention rate in rating category is highest for good accounts and is low for the lowly rated accounts. Also the rating migration is along the diagonal axis implying the rating retention characteristics. The same data pool is analyzed for cumulative 1-year, 2-year, 3year, 4year and 5-year rating migration and default (Annexture-8). Here in the 5 –year migration matrix we observe that the rating withdrawal has mostly occurred in AAA and AA accounts (good quality customers have left the Bank more than the bad quality customers ), which is the matter of concern as the no of relatively low quality accounts have increased and in the process the credit quality has deteriorated. Here also overall diagonal concentration of rating category is observed but in last last migr migrat atio ion n matr matrix ix (5 year year cum cum PD) as we can se see e ther there e is considerably divergence towards the mid-rating segment. This finding is in consonance with rating Transition Matrix for 5 years as given on page 222 of the above mentioned book.
LGD Calculation: For the LGD calculation the study has taken 103 accounts accoun ts as sample sample and the date on defaul default, t, date date of compro compromis mise, e, years in default, recovery amount, recovery cost, etc were determined. These amounts were discounted to the date of default taking 10% average discount rate (Bank uses 10% as discount rate). Then the econom eco nomic ic LGD is calcul calculate ated d for the individ individual ual acc accoun ounts. ts. The pooled LGD can be taken from aggregate figures as shown in Annexture-2.
RAROC Calculation: RAROC calculation is given in Annexture-9 .The workings are self explanatory. First EAD is taken as Rs1 and then the calculation is done. The Expected Loss is 0.59% and the unexpected
loss is at 2.3%.Thus we see the unexpected loss is much more than the the expe expect cted ed.. At 99.97 99.97% % co conf nfid iden ence ce inter interva vall Econ Econom omic ic Capi Capita tall is calcu calculat lated ed at 6.97% 6.97% which which is less less than than the the 9% CAR CAR as regu regula lato torr prescribes. Since, the RAROC calculation typically follows the Advanced IRB approach for capital calculation. It shows how Banks will be able to save on the Capital if they have robust system of the risk management. In our study the RAROC comes to 13.48%.The EL, UL and EC for the exposure of Rs 304.67 billion (as on 31.03.2007) is also calculated When we compare this RAROC with the Cost of Capital we find that our RAROC was higher than the cost of capital. So we may say that the corporate corporate accounts are giving profitable profitable returns. returns. However even minor change in yield in the loan accounts or credit quality deterioration may result into higher Economic capital, reduced RAROC. The scenarios are as follows:
Wtd PD=0.85% LGD=69.23% EAD=1 EL=0.59%
σpd=0.84% σLGD =24.14% UL=2.30%
[email protected]%(Internal CAR) = 6.97% Yield=8.34% COF=4.77% OPex =2.05% RAROC=13.48% At Yield@8% RAROC=8.60% COF=5.25% RAROC=6.59 %(< COC) OPex=2.50% RAROC=6.95 %(< COC) PD=1.25% RAROC=11.12% LGD=80% RAROC=13.50% At EAD (31.03.2007) =Rs 30468.03 cr EL=Rs 1784.95 Cr UL=Rs 6993.03 Cr EC=Rs 2122.56 cr COC (Hurdle Rate) =7.70% So we can say that the RAROC is highly sensitive to yield on advances, COF and OP ex.
Recommendations Finally we conclude the study with hope that Bank will have to move to Advanced IRB approach and it will have enough quality data to move towards RAROC implementation, not only in credit but also for other areas of risk management. Some important points are as below. Bank Ba nk need needs s stro strong ng MIS MIS syst system em and and Cost Costs s invo involv lved ed in ea each ch segment. Further it should be the endeavour for the Bank to use RAROC RAROC as sign signal al for for takin taking g deci decisio sions ns whic which h invo involv lve e risk risk and and Capital. Also our Bank is using internal CRISIL model for the risk rating of the ac acco coun unts ts sinc since e 2006. 2006. In many many ac acco coun unts ts two two or thre three e ratings are available. So sample validation of the parameters like PD, LGD, and EAD should be done on these accounts. As these parame parameter ters s are highly highly dynami dynamic c and hence hence needs needs consta constant nt up gradation. For LGD and EAD estimation Bank wide study should be taken up. •
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The segmental funding pattern of the loans should be identified and costs incurred should be estimated. It is pertinent that organization should become more vertical in str structu ucture re so that that cos osts ts invo involv lve ed ca can n be ca calc lcul ulat ated ed more ore accurately (Activity Based Costing).
Executive Summary In the end I point down the steps followed by me for the RAROC calculation: Initial step was to determine the methodology to be followed and quality and quantity of data to be collected. Then literature was surveyed to determine the variables to use. Then Then data data was was co coll llec ecte ted d usin using g AS ASCR CROM OM,, reco recove very ry hist histor ory y, sanctioned files, Banks, NSE and other websites. The raw data was cleansed and particular outliers were left out. Then Excel based calculation was done to calculate the different elements of the RAROC and then the RAROC was calculated. In transition matrix we observe diagonal rating structure which is in co conf nfor ormi mity ty with with rati rating ng migr migrat atio ion n mari marix x give given n by S& S&P P and and Moody’s. The The ca calc lcul ulat ated ed RAROC RAROC was was then then co comp mpare ared d with with the the co cost st of capital and found that the Corporate Accounts RAROC is higher •
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than the cost of capital. This is important because this tells us that thes hese corporate accounts are adding value lue to the shareholders wealth.
Limitations:
I have not taken sanctioned limits as cut off due to the fact that that information is not so reliable in ASCROM. The The choi choice ce of Rs 20 cror crores es has has been been take taken n on indi indivi vidu dual al judgment so as to have a sufficient pool of data points. Only funded limit is considered, as information regarding the non-fund limits is not so reliable in ASCROM. The data for losses of Rs20 Crores and above are few and hence proper recovery pattern cannot be drawn easily, so I will use Rs 1 crores and above data for NPA and recovery estimates.
References:
Websites:
De servigny and O.Renault, 2004,Measuring and managing credit risk ,S&P ,S&P ,Mc Grow -Hill. A.Bandopadhaya, A note on measurement and management of credit risk ,NIBM ,NIBM Anth Anthon ony y Sa Sau under nders s and and Corne ornettt,Fin t,Financ ancial ial Instit Instituti ution on Mana Ma nage geme ment nt:A :A Risk Risk Mana Ma nage geme ment nt Appr Approa oach ch,c ,cha hapt pter er 11,12,5 th ed. Altman,Narayanan and Cauette,Managing Credit Risk Credit Risk + of CFSB Phillip Jorian,Value a Risk BASELII :International convergence of Capital measurement and Capital Standards :a Revised framework(BCBS,June2006 revised)
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www.gloriamundi.com www.elsevier.com www.fic.wharton.uppendu.fic www.erisk.com www.defaultrisk.com www.rbi.org
